Microsoft Knowledge Base Article 310296 contains the following summary:
This step-by-step article describes how to configure Internet Explorer 6.0 as a Web-proxy client. Internet Security and Acceleration (ISA) Server provides security through multilayered filtering, and performance acceleration through caching of frequently-requested Web objects. ISA Server supports three types of clients: SecureNAT, Firewall and Web Proxy. A Web-proxy client sends HTTP requests directly to the ISA Server computer. As its name implies, the Web-proxy client is a Web browser, and supports only HTTP, HTTPS and FTP protocols. Configuring client computer's Web browsers to function as Web-proxy clients improves the Web performance for the internal clients.